We would like to thank Chuang-Chang Chang, Hsuan-Chi Chen, Ren-Raw Chen, Jin-Chuan Duan, Bernard Lee, Bing-Huei Lin, Mark Seasholes, Keshab Shrestha, Bob Webb (Editor), Chung-Ying Yeh, Shih-Kuo Yeh, and seminar participants at the NUS Risk Management Institute and the 21st annual Asia-Pacific Futures Research Symposium for their helpful comments. The authors are also grateful to the National Science Council of Taiwan for the financial support provided for this study.